Stochastic bandits with groups of similar arms.Download PDF

May 21, 2021 (edited Oct 26, 2021)NeurIPS 2021 PosterReaders: Everyone
  • Keywords: Multi-armed Bandit, Indexed Minimum Empirical Divergence, Structure, Regret analysis, dependent arms
  • TL;DR: Structured bandit with group of arms having same mean. Efficient relaxation avoiding combinatorial optimization with controlled near-optimal regret.
  • Abstract: We consider a variant of the stochastic multi-armed bandit problem where arms are known to be organized into different groups having the same mean. The groups are unknown but a lower bound $q$ on their size is known. This situation typically appears when each arm can be described with a list of categorical attributes, and the (unknown) mean reward function only depends on a subset of them, the others being redundant. In this case, $q$ is linked naturally to the number of attributes considered redundant, and the number of categories of each attribute. For this structured problem of practical relevance, we first derive the asymptotic regret lower bound and corresponding constrained optimization problem. They reveal the achievable regret can be substantially reduced when compared to the unstructured setup, possibly by a factor $q$. However, solving exactly the exact constrained optimization problem involves a combinatorial problem. We introduce a lower-bound inspired strategy involving a computationally efficient relaxation that is based on a sorting mechanism. We further prove it achieves a lower bound close to the optimal one up to a controlled factor, and achieves an asymptotic regret $q$ times smaller than the unstructured one. We believe this shows it is a valuable strategy for the practitioner. Last, we illustrate the performance of the considered strategy on numerical experiments involving a large number of arms.
  • Supplementary Material: pdf
  • Code Of Conduct: I certify that all co-authors of this work have read and commit to adhering to the NeurIPS Statement on Ethics, Fairness, Inclusivity, and Code of Conduct.
  • Code: https://github.com/fabienpesquerel/stochastic-bandits-with-groups-of-similar-arms-neurips-2021
11 Replies

Loading